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As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…
A fundamental assumption in classical mechanism design is that buyers are perfect optimizers. However, in practice, buyers may be limited by their computational capabilities or a lack of information, and may not be able to perfectly…
Efficient and truthful mechanisms to price resources on remote servers/machines has been the subject of much work in recent years due to the importance of the cloud market. This paper considers revenue maximization in the online stochastic…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current…
We consider the problem of posting prices for unit-demand buyers if all $n$ buyers have identically distributed valuations drawn from a distribution with monotone hazard rate. We show that even with multiple items asymptotically optimal…
In the multi-unit pricing problem, multiple units of a single item are for sale. A buyer's valuation for $n$ units of the item is $v \min \{ n, d\} $, where the per unit valuation $v$ and the capacity $d$ are private information of the…
We study revenue maximization in multi-item multi-bidder auctions under the natural item-independence assumption - a classical problem in Multi-Dimensional Bayesian Mechanism Design. One of the biggest challenges in this area is developing…
We derive the revenue-optimal efficient (welfare-maximizing) mechanism in a general multidimensional mechanism design setting when type spaces -- that is, the underlying domains from which agents' values come from -- can capture arbitrarily…
We consider a basic model of multi-period trading, which can be used to evaluate the performance of a trading strategy. We describe a framework for single-period optimization, where the trades in each period are found by solving a convex…
We consider a revenue-maximizing seller with $m$ heterogeneous items and a single buyer whose valuation $v$ for the items may exhibit both substitutes (i.e., for some $S, T$, $v(S \cup T) < v(S) + v(T)$) and complements (i.e., for some $S,…
It is well-known that optimal (i.e., revenue-maximizing) selling mechanisms in multidimensional type spaces may involve randomization. We obtain conditions under which deterministic mechanisms are optimal for selling two identical,…
A buyer wishes to purchase a durable good from a seller who in each period chooses a mechanism under limited commitment. The buyer's valuation is binary and fully persistent. We show that posted prices implement all equilibrium outcomes of…
Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive market. The dealers' trading intensities, their optimal bid…
We consider a deterministic continuous time model of monopolistic firm, which chooses production and pricing strategies of a single good. Firm's goal is to maximize the discounted profit over infinite time horizon. The no-backlogging…
In multi-item screening, optimal selling mechanisms are challenging to characterize and implement, even with full knowledge of valuation distributions. In this paper, we aim to develop tractable, interpretable, and implementable mechanisms…
This paper studies dynamic mechanism design in a quasilinear Markovian environment and analyzes a direct mechanism model of a principal-agent framework in which the agent is allowed to exit at any period. We consider that the agent's…